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MBS RECAP: Fear of The I-Word
Oct 21 2021, 4:21PM

Today's 5yr TIPS auction met with heavy demand for inflation protection.  While that didn't move markets at the time, it nonetheless underscores the heavy inflation concern driving traders to flatten the yield curve and move up estimated Fed rate hike timing.  Indeed, Fed Funds Futures are now pricing in the first hike by June 2022.  MBS underperformed 10yr yields, but kept better pace with 5yr Treasuries.  Data had no impact as the market traded largely on momentum, technicals, and deal-related tradeflows (i.e. corporate bond issuance).

Econ Data / Events
  • Fed MBS Buying 10am, 1130am, 1pm

  • Jobless Claims.... 290k vs 300k f'cast
    Philly Fed............ 23.8 vs 25.0 f'cast
    Existing Sales 6.29m vs 6.09m f'cast
    Leading Indicators ...0.2 vs 0.4 f'cast

Market Movement Recap
08:36 AM

Stronger at first in overnight session, then weaker on booster trial data.  Bouncing back early with 10yr up only .4bps now at 1.664 and 2.5 UMBS down 2 ticks (0.06) at 102-10 (102.31).

12:25 PM

Additional losses heading into the 10am hour, then a brief attempt to recover before moving back toward the lows of the day (in PRICE).  2.5 UMBS down just over an eighth of a point at 102-08 (102.25).  10yr yields up 1.1bps at 1.671.


MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
MBS
UMBS 2.5
102-01 : -0-11
Treasuries
10 YR
1.6890 : +0.0540
Pricing as of 10/21/21 4:21PMEST

Today's Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
2:51PM  :  ALERT ISSUED: Negative Reprices Becoming More Likely
1:41PM  :  ALERT ISSUED: Negative Reprice Risk Increasing
10:02AM  :  ALERT ISSUED: Weakest Levels of The Day
8:36AM  :  Weaker Overnight on Booster News, But Bouncing Back Slightly

Economic Calendar
Time Event Period Actual Forecast Prior
Thursday, Oct 21
8:30 Philly Fed Business Index * Oct 23.8 25.0 30.7
8:30 Continued Claims (ml) w/e 2.481 2.550 2.593
8:30 Jobless Claims (k) w/e 290 300 293
10:00 Exist. home sales % chg (%)* Sep +7.0 -2.0
10:00 Existing home sales (ml)* Sep 6.29 6.09 5.88
10:00 Leading index chg mm (%) Sep +0.2 0.4 0.9
13:00 5-Yr Note Auction (bl)* 19
Friday, Oct 22
9:45 Markit Composite PMI * Oct 55.0

About the Author

Chief Operating Officer, Mortgage News Daily / MBS Live
A former originator, Matthew began writing for Mortgage News Daily in 2007, covering a wide range of topics. Seeing a need in the marketplace, his focus increasingly shifted toward relating MBS and broader financial markets for loan originators. ... more

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Mortgage Rates:
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  • 15 Yr FRM 2.62%
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  • Jumbo 30 Year Fixed 3.15%
MBS Prices:
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  • 30YR FNMA 5.0 109-11 (0-00)
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  • 30YR FNMA 5.5 110-19 (0-09)
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